Linear Filtering of Random Processes - PDF Document

Linear Filtering of Random Processes. Lecture 13. Spring 2002. Wide-Sense Stationary. A stochastic process X ( t ) is wss if its mean is constant. E [ X ( t )] = µ. and its autocorrelation depends only on τ = t 1 − t 2 R xx ( t 1 ,t 2 ) = E [ X ( t 1 ) X ∗ ( t 2 )].